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Taylor and Francis Group, Applied Financial Economics, 15(20), p. 1163-1171

DOI: 10.1080/09603101003781455

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Macroeconomic uncertainty and credit default swap spreads

Journal article published in 2010 by Christopher F. Baum ORCID, Chi Wan
This paper is available in a repository.
This paper is available in a repository.

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Abstract

This paper empirically investigates the impact of macroeconomic uncertainty on the spreads of individual firms ’ credit default swaps (CDS). While existing literature acknowledges the importance of the levels of macroeconomic factors in determining CDS spreads, we find that the second moments of these factors—macroeconomic uncertainty—have significant explanatory power over and above that of traditional macroeconomic factors such as the risk-free rate and the Treasury term spread. JEL Classification: E32; G12; C23